The Influence Of Macroeconomic Factors And World Commodity  Prices On The Volatility Of The Indonesian Sharia Stock Index

Dwi  Agus Afrianingsih; Irni  Yunita

doi:10.46729/ijstm.v6i4.1244

Dwi Agus Afrianingsih Faculty of Economics and Business, Telkom University, Bandung, Indonesia
Irni Yunita Faculty of Economics and Business, Telkom University, Bandung, Indonesia

DOI: https://doi.org/10.46729/ijstm.v6i4.1244

Keywords: Volatility;Interest Rates;Macroeconomic Factors;Global commodity Prices and Standard Deviation.

Abstract

The Indonesia Sharia Stock Index (ISSI) serves as a key indicator of sharia-compliant stock performance on the Indonesia Stock Exchange. This study investigates the impact of macroeconomic factors—interest rates, exchange rates, inflation, oil prices, and gold prices—on ISSI volatility from January 2015 to December 2024. Utilizing a quantitative approach with multiple regression analysis, the findings reveal that interest rates significantly negatively affect volatility (coefficient -0.509, significance 0.001), indicating that higher interest rates reduce market volatility. In contrast, the exchange rate and inflation show no significant effects (coefficients -0.308 and 0.144). World oil prices have a marginal negative impact (coefficient -0.200), while gold prices are not significant (coefficient 0.045). ANOVA results confirm that all independent variables collectively influence ISSI volatility significantly (significance 0.005). This research underscores the importance of macroeconomic factors in investment decision-making within the sharia market and suggests future studies incorporate sectoral analysis and additional control variables for deeper insights.

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